Examining the returns of American depository receipts: Evidence from emerging and developed markets

The purpose of this article is to explain the returns of American Depository Receipts (ADRs), compar-ing the results across emerging and developed markets. Using a sample of 167 ADRs from 14 emerg-ing and 17 developed markets (31 markets in total) for the period 2000–2004, we found variations in the impacts of specific variables and in the explanatory power of models associated with the annual holding-period return of firms. Dividing ADRs into emerging and developed markets suggests that firm size and local market conditions influenced returns in the two groups in similar ways. However, firm-specific business risk and country-specific economic risk are only important to emerging markets’ ADRs, while country-specific exchange-rate variables are more important to developed markets’ ADRs. © 2009 Wiley Periodicals, Inc.